Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Year of publication: |
2009
|
---|---|
Authors: | Mencía González, Javier ; Sentana, Enrique |
Publisher: |
Banco de España / Madrid : Banco de España, 2009 |
Subject: | Generalised hyperbolic distribution | Maximum likelihood | Portfolio frontiers | Sortino ratio | Spanning tests | Tail dependence | Modelos de series temporales | Modelización econométrica | Valoración de activos |
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